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Report NEP-MST-2023-09-11
This is the archive for NEP-MST, a report on new working papers in the area of Market Microstructure. Thanos Verousis issued this report. It is usually issued weekly.Subscribe to this report: email, RSS, or Mastodon, or Bluesky.
Other reports in NEP-MST
The following items were announced in this report:
- Matteo Aquilina & Sean Foley & Peter O'Neill & Matteo Thomas Ruf, 2023. "Sharks in the dark: quantifying HFT dark pool latency arbitrage," BIS Working Papers 1115, Bank for International Settlements.
- Ulrich Horst & Dorte Kreher & Konstantins Starovoitovs, 2023. "Second-Order Approximation of Limit Order Books in a Single-Scale Regime," Papers 2308.00805, arXiv.org, revised Sep 2024.
- Crocker Herbert Liu & Charles Trzcinka & Ziwei Zhao, 2023. "Trading Halts and Price Informativeness," Swiss Finance Institute Research Paper Series 23-62, Swiss Finance Institute.
- Yuki Sato & Kiyoshi Kanazawa, 2023. "Quantitative statistical analysis of order-splitting behaviour of individual trading accounts in the Japanese stock market over nine years," Papers 2308.01112, arXiv.org.